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The Formula That Killed Wall Street (2009)
- chollida1 11y agoThis article is pretty old but it does a pretty good job of discussing David Li's Gaussian Copela. It was/is the formula that played significant role in pricing the derivative instruments that helped cause a bit of panic back in 2008. his original paper is still below if anyone is interested. http://www.defaultrisk.com/_pdf6j4/On%20Default%20Correlation-%20A%20Copula%20Function%20Approach.pdf http://www.defaultrisk.com/_pdf6j4/On%20Default%20Correlatio...